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Smoothness and dimension reduction in quasi-Monte Carlo methods
B. Moskowitz, R. E. Caflisch
Mathematics
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Keyphrases
Dimensionality Reduction
100%
Quasi-Monte Carlo
100%
Rejection Method
66%
Error Size
66%
Quasi-random Sequences
66%
Monte Carlo Method
33%
High Dimension
33%
Dimension One
33%
One Dimension
33%
Convergence Rate
33%
Performance Improvement
33%
Discrete-time
33%
Large Dimension
33%
Error Bound
33%
Path Integral
33%
Integrand
33%
Feynman-Kac Formula
33%
Effective Dimension
33%
Uniform Sampling
33%
Pseudorandom Sequences
33%
Importance Sampling
33%
Monte Carlo Integration
33%
Alternative Discretization
33%
Monte Carlo Evaluation
33%
Modified Monte Carlo Method
33%
Theoretical Error
33%
Engineering
Discrete Time
100%
Discretization
100%
Error Bound
100%
Rate of Convergence
100%
Integrand
100%
Mathematics
Monte Carlo
100%
Rejection Method
33%
One Dimension
16%
Higher Dimensions
16%
time interval τ
16%
Discrete Time
16%
Discretization
16%
Error Bound
16%
Integrand
16%
Convergence Rate
16%
Random Sequence
16%
Effective Dimension
16%
Importance Sampling
16%
Pseudorandom Sequence
16%
Weighted Uniform Sampling
16%
Economics, Econometrics and Finance
Monte Carlo Simulation
100%